Order flow imbalance, quote burst and price impact

LIU Zhidong, ZHAO Zhiyuan, WANG Chao

Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (9) : 2367-2390.

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Systems Engineering - Theory & Practice ›› 2022, Vol. 42 ›› Issue (9) : 2367-2390. DOI: 10.12011/SETP2021-0300

Order flow imbalance, quote burst and price impact

  • LIU Zhidong, ZHAO Zhiyuan, WANG Chao
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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2022, 42(9): 2367-2390 https://doi.org/10.12011/SETP2021-0300

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